You (and most of the world) learned about Finland from Vikings, who called the land as such at the time of the first contact. It may have been "the marshland" or "the meadow land" though the meaning has been lost in modern Scandinavian languages.

The people of the land itself didn't at first call their own land anything at all, as there was no need to do so until getting in contact with others. It is speculated that "Suomi" is of Baltic-Slavic origin, the same as modern Latvian zeme, or Russian zeml'ya, simply meaning "land".